文章基本信息

标题：PRICE BEHAVIOR IN EMERGING STOCK MARKETS: CASES OF POLAND AND SLOVAKIA
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作者：Hranaiova, Jana
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：1999
期号：suppl
出版社：Journal of Agribusiness
摘要：This paper analyzes serial correlation in stock returns, and informational role of volume and volatility in Polish and Slovakian stock markets. Results indicate that prices tend to overshoot to new information in the Slovakian market, while new information gets impounded into prices with a one-day lag in the Polish market. In the context of feedback trading models, the Slovakian stock market seems to be dominated by traders who sell high and buy low, while stop-loss or distress selling type traders prevail in the Polish market. Traders became more sophisticated over time, as market efficiencies increased. Informational role of volume and volatility appears to be consistent with that found in developed stock markets.